Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0028 |
| Annualized Std Dev | 0.0782 |
| Annualized Sharpe (Rf=0%) | -0.0361 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3047.0000 |
| NAs | 1.0000 |
| Minimum | -0.0402 |
| Quartile 1 | -0.0026 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0026 |
| Maximum | 0.0462 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0049 |
| Skewness | 0.1702 |
| Kurtosis | 6.3519 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0035 |
| Gain Deviation | 0.0034 |
| Loss Deviation | 0.0034 |
| Downside Deviation (MAR=210%) | 0.0096 |
| Downside Deviation (Rf=0%) | 0.0035 |
| Downside Deviation (0%) | 0.0035 |
| Maximum Drawdown | 0.2826 |
| Historical VaR (95%) | -0.0079 |
| Historical ES (95%) | -0.0111 |
| Modified VaR (95%) | -0.0072 |
| Modified ES (95%) | -0.0098 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-03 | 2020-03-19 | NA | -0.2826 | 2488 | 2235 | NA |
| 2009-11-27 | 2010-06-07 | 2010-11-04 | -0.1423 | 237 | 131 | 106 |
| 2010-11-05 | 2010-12-21 | 2011-01-26 | -0.0659 | 56 | 32 | 24 |
| 2009-02-10 | 2009-03-03 | 2009-03-18 | -0.0570 | 19 | 11 | 8 |
| 2011-01-27 | 2011-02-22 | 2011-04-26 | -0.0506 | 62 | 18 | 44 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -0.4 | 0.1 | 0.1 | -0.1 | 0.7 | 0.5 | 1.2 | -0.6 | -0.3 | -0.3 | 0.3 | 0.7 | 1.8 |
| 2010 | 0.4 | -0.3 | 0.6 | -0.2 | -0.2 | 1.5 | 0.1 | 0.8 | 0.7 | 0 | -2.3 | 0.4 | 1.5 |
| 2011 | 1 | -1.1 | -0.1 | 0.1 | -0.6 | -0.2 | -0.9 | -0.6 | -0.3 | -1.7 | -1.3 | 0.1 | -5.4 |
| 2012 | 0.5 | 0 | 0.1 | 0.2 | 0.1 | 1.3 | -0.5 | 0.1 | 0.2 | 0.2 | -0.2 | -0.1 | 1.9 |
| 2013 | -0.1 | -0.4 | 0.2 | 0.1 | -0.3 | -0.2 | -1 | 0 | 0.2 | -0.7 | 0.1 | 0 | -2.1 |
| 2014 | 0 | 0.5 | 0 | -0.1 | 0 | -0.2 | 0.2 | -0.2 | 0.1 | -1 | 0.1 | -0.5 | -1 |
| 2015 | 0 | 0.1 | -0.1 | -0.6 | -0.7 | -0.6 | 0.3 | 0.6 | 0.3 | 0.1 | 0.5 | -0.1 | -0.2 |
| 2016 | 0.3 | -0.1 | 0.4 | 0.8 | 0.4 | 0.7 | -0.5 | 0.3 | 0 | 0.4 | 0.2 | 0.2 | 3.2 |
| 2017 | -0.2 | -0.6 | 0.2 | -0.2 | -0.3 | -0.1 | -0.6 | -0.2 | -0.2 | -0.8 | 0.2 | 0.4 | -2.5 |
| 2018 | 0.4 | 0.1 | 0.3 | -0.7 | -0.2 | 0.4 | -0.2 | -0.4 | -0.2 | 0.7 | -0.2 | 0.1 | 0.2 |
| 2019 | 0.1 | -0.5 | 0 | -0.1 | 0.5 | -0.7 | 0.2 | -0.2 | 0.2 | 0.2 | -0.1 | 0.2 | -0.2 |
| 2020 | 0.2 | 0.7 | -0.7 | 0.1 | 0.5 | 0 | -0.4 | 0 | 0.2 | -0.1 | 0.7 | -0.1 | 1 |
| 2021 | -0.5 | 0.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-27 33.0 SPY 84.5 0.0102 0.0491 -0.0246 -0.0288 -0.375 -0.333 -0.270 GLD 88.4 -0.0064 0.0457
2 2009-01-29 32.9 SPY 84.6 -0.0325 0.0218 -0.0272 -0.0982 -0.373 -0.342 -0.254 GLD 89.5 0.0239 0.0582
3 2009-01-30 32.8 SPY 82.8 -0.0203 -0.0034 -0.069 -0.110 -0.397 -0.355 -0.270 GLD 91.3 0.0202 0.0314
4 2009-02-02 32.6 SPY 82.6 -0.003 -0.0131 -0.0849 -0.142 -0.408 -0.352 -0.272 GLD 88.8 -0.0271 -0.00120
5 2009-02-03 33.0 SPY 83.7 0.014 -0.00930 -0.0992 -0.135 -0.392 -0.348 -0.265 GLD 88.5 -0.0042 0.001
6 2009-02-04 32.6 SPY 83.3 -0.0049 -0.0465 -0.102 -0.142 -0.379 -0.343 -0.268 GLD 89.2 0.008 0.0202
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
